Study: Sell ANDHRABANK when RSI is overbought

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In this study, we evaluate the performance of strategy "Sell ANDHRABANK when RSI is overbought" under various conditions.

X Analysis

In the table below, we find out the performance of this trading strategy under following scenario: sell ANDHRABANK at the closing price whenever the signal triggers (Rs. 2Lac per trade). Then cover the position "X" trading days later at close_price i.e. buy after "X" trading days. Here are the results of this study:

X DaysNet ProfitTotal TradesWinning TradesLosing Trades% ProfitableAvg Winning TradeMax Winning TradeAvg Losing TradeMax Losing TradeWin/Loss RatioProfit FactorSharpe RatioAvg Trade
1-18960364184628.124042.5718620.69-5703.67-30709.680.710.28-0.1-2962.54
2-25386164214332.816271.6326896.55-8966.63-31168.830.70.34-0.094-3966.58
3-27991064263840.626739.3416747.47-11977.19-55462.180.560.38-0.082-4373.6
4-36668164263840.626566.3316394.89-14142.26-74713.520.460.32-0.089-5729.39
5-34501964303446.887406.9419291.51-16683.15-69671.50.440.39-0.079-5390.92
6-30597964313348.449038.5434071.55-17762.85-62948.820.510.48-0.063-4780.93
7-39384164333151.568679.0435264.05-21943.54-71657.750.40.42-0.074-6153.77
8-48014264303446.888580.9223482.85-21693.22-68754.770.40.35-0.09-7502.22
9-48487864293545.318942.4925945.47-21263.16-73032.850.420.35-0.09-7576.23
10-44780264303446.889885.3726235.09-21893.05-79908.330.450.4-0.079-6996.91
Although, strategy looks good but profit factor on day 1 is less than minimum accepted value so avoid this, see below for further analysis.

Strategy Analysis - Exit Criteria

In the study above, exit criterion was that hold the position for "X" trading days. That's one possible exit criterion. However, we can have more elaborate exit criteria. Now we study this strategy under other exit criteria. There are 3 things which you must get to know before proceeding further. Table below shows the performance of this strategy under various exit combinations. Note that nil,nil,-1 is a special exit combination where we just take the best result of "X" Analysis study above.

Stop LossAdjust Stop LossTargetAvg Holding PeriodNet ProfitTotal TradesWinning TradesLosing Trades% ProfitableAvg Winning TradeMax Winning TradeAvg Losing TradeMax Losing TradeWin/Loss RatioProfit FactorSharpe RatioAvg Trade
atrnil35.11-3541521592713216.9823557.2834761.41-7501.5-126723.140.64-0.045-2227.37
atrnil23.39-3476541613712422.9815632.723364.05-7468.26-126722.090.62-0.052-2159.34
atrtrail22.62-3311731794913027.3710487.9423364.05-6500.63-12581.71.610.61-0.051-1850.13
atrtrail33.03-3858521784713126.49907.9831123.74-6500.2-12581.71.520.55-0.058-2167.71
atrtrail-13.35-4161021784713126.49264.3654996.78-6500.2-12581.71.430.51-0.062-2337.65

In the table above, row 1 shows the best exit criterion. Profit factor is 0.64. This strategy is not profitable and we advice you not to use it.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
ANDHRABANK Performance, Profit Factor:0.642

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
20171402 Feb 2017 (-2.36%), 03 Feb 2017 (-2.51%), 07 Feb 2017 (-2.61%), 09 Feb 2017 (8.49%), 26 Apr 2017 (-2.36%), 27 Apr 2017 (-2.36%), 28 Apr 2017 (-2.53%), 03 May 2017 (-2.89%), 04 May 2017 (8.83%), 15 Sep 2017 (-2.81%), 18 Sep 2017 (-2.86%), 19 Sep 2017 (9.17%), 25 Oct 2017 (-4.24%), 26 Oct 2017 (13.91%)
2016204 Jul 2016 (-3.53%), 11 Jul 2016 (10.04%)
20141228 Mar 2014 (-2.6%), 31 Mar 2014 (-2.79%), 02 Apr 2014 (-2.93%), 14 May 2014 (-3.77%), 16 May 2014 (-5.57%), 19 May 2014 (-5.35%), 21 May 2014 (-5.12%), 23 May 2014 (-4.99%), 26 May 2014 (-5.87%), 02 Jun 2014 (-5.59%), 04 Jun 2014 (16.07%), 03 Nov 2014 (-4.0%)
2013404 Jan 2013 (-2.69%), 07 Jan 2013 (7.91%), 03 Nov 2013 (-3.72%), 05 Nov 2013 (12.63%)
20121124 Jan 2012 (-4.05%), 02 Feb 2012 (-4.14%), 06 Feb 2012 (-3.95%), 10 Feb 2012 (-3.6%), 13 Feb 2012 (-3.61%), 14 Feb 2012 (-3.67%), 17 Feb 2012 (11.15%), 20 Sep 2012 (-3.43%), 21 Sep 2012 (-3.37%), 01 Oct 2012 (9.62%), 07 Dec 2012 (-2.89%)
2011105 Apr 2011 (8.63%)
2010905 Apr 2010 (-2.87%), 06 Apr 2010 (-3.02%), 26 Apr 2010 (-2.88%), 30 Apr 2010 (-3.11%), 05 May 2010 (-3.39%), 19 Jul 2010 (-2.67%), 16 Aug 2010 (-3.01%), 18 Aug 2010 (9.02%), 25 Oct 2010 (9.6%)
20091315 Apr 2009 (-5.36%), 14 May 2009 (-5.12%), 18 May 2009 (-5.23%), 19 May 2009 (-5.88%), 20 May 2009 (-6.18%), 01 Jun 2009 (16.5%), 14 Sep 2009 (-3.42%), 15 Sep 2009 (-3.41%), 22 Sep 2009 (-4.09%), 25 Sep 2009 (-4.04%), 15 Oct 2009 (-3.68%), 16 Oct 2009 (-3.69%), 20 Oct 2009 (10.8%)
2008202 Jan 2008 (-4.64%), 03 Jan 2008 (13.94%)
20071019 Apr 2007 (-3.6%), 15 May 2007 (-3.58%), 16 May 2007 (10.67%), 17 Jul 2007 (-3.32%), 19 Jul 2007 (10.41%), 24 Sep 2007 (-3.79%), 28 Sep 2007 (12.32%), 16 Nov 2007 (-5.26%), 19 Nov 2007 (-5.84%), 12 Dec 2007 (-5.28%)
2006728 Jul 2006 (-4.35%), 31 Jul 2006 (-4.33%), 03 Aug 2006 (-4.11%), 08 Aug 2006 (-3.86%), 16 Aug 2006 (-3.64%), 04 Sep 2006 (-3.25%), 28 Sep 2006 (-3.37%)
2005603 Jan 2005 (10.47%), 02 Mar 2005 (-3.99%), 04 Mar 2005 (-3.97%), 07 Mar 2005 (-4.12%), 08 Mar 2005 (12.73%), 26 Jul 2005 (12.67%)
20042102 Jan 2004 (-4.31%), 13 Jan 2004 (-4.24%), 14 Jan 2004 (12.47%), 15 Apr 2004 (-5.12%), 17 Apr 2004 (-4.9%), 19 Apr 2004 (-4.96%), 22 Apr 2004 (14.73%), 07 Sep 2004 (-3.05%), 22 Sep 2004 (-2.86%), 23 Sep 2004 (-2.98%), 05 Oct 2004 (-2.98%), 05 Nov 2004 (-3.06%), 17 Nov 2004 (-3.68%), 18 Nov 2004 (-3.74%), 25 Nov 2004 (-4.1%), 30 Nov 2004 (-3.86%), 02 Dec 2004 (-3.77%), 03 Dec 2004 (-3.9%), 22 Dec 2004 (-3.31%), 23 Dec 2004 (-3.4%), 31 Dec 2004 (-3.5%)
20031209 Jan 2003 (-4.55%), 10 Jan 2003 (-4.74%), 13 Jan 2003 (-4.66%), 20 Jan 2003 (-4.7%), 21 Jan 2003 (13.98%), 26 Aug 2003 (-4.11%), 27 Aug 2003 (-4.34%), 03 Sep 2003 (-5.06%), 22 Dec 2003 (-3.2%), 24 Dec 2003 (-3.33%), 29 Dec 2003 (-3.1%), 30 Dec 2003 (-4.13%)
20023525 Jan 2002 (-2.22%), 29 Jan 2002 (-2.19%), 01 Feb 2002 (-2.25%), 04 Feb 2002 (-2.34%), 05 Feb 2002 (-3.02%), 06 Feb 2002 (-3.05%), 07 Feb 2002 (-3.25%), 11 Feb 2002 (-3.26%), 15 Feb 2002 (-3.46%), 18 Feb 2002 (-3.78%), 22 Apr 2002 (-4.1%), 24 Apr 2002 (-4.05%), 25 Apr 2002 (13.89%), 04 Jun 2002 (-5.43%), 05 Jun 2002 (-5.6%), 10 Jun 2002 (-6.31%), 12 Jun 2002 (-6.34%), 20 Jun 2002 (17.38%), 04 Nov 2002 (-2.43%), 05 Nov 2002 (-2.49%), 07 Nov 2002 (-2.72%), 11 Nov 2002 (-2.82%), 18 Nov 2002 (-2.66%), 26 Nov 2002 (-2.56%), 27 Nov 2002 (-2.72%), 28 Nov 2002 (-2.85%), 03 Dec 2002 (-3.01%), 06 Dec 2002 (-2.92%), 09 Dec 2002 (-3.11%), 11 Dec 2002 (-3.04%), 12 Dec 2002 (-3.04%), 18 Dec 2002 (-3.55%), 19 Dec 2002 (-4.14%), 20 Dec 2002 (-4.2%), 24 Dec 2002 (-4.43%)



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